Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1029
Annualized Std Dev 0.1328
Annualized Sharpe (Rf=0%) -0.7744

Row

Daily Return Statistics

Close
Observations 3243.0000
NAs 1.0000
Minimum -0.0680
Quartile 1 -0.0053
Median -0.0006
Arithmetic Mean -0.0004
Geometric Mean -0.0004
Quartile 3 0.0044
Maximum 0.0486
SE Mean 0.0001
LCL Mean (0.95) -0.0007
UCL Mean (0.95) -0.0001
Variance 0.0001
Stdev 0.0084
Skewness -0.1452
Kurtosis 3.4104

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0055
Loss Deviation 0.0057
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0061
Downside Deviation (0%) 0.0061
Maximum Drawdown 0.7984
Historical VaR (95%) -0.0130
Historical ES (95%) -0.0191
Modified VaR (95%) -0.0139
Modified ES (95%) -0.0218
From Trough To Depth Length To Trough Recovery
2008-06-16 2020-08-04 NA -0.7984 3214 3056 NA
2008-05-30 2008-06-06 2008-06-12 -0.0280 10 6 4
2008-05-07 2008-05-09 2008-05-14 -0.0205 6 3 3
2008-05-15 2008-05-20 2008-05-27 -0.0192 8 4 4
2008-05-05 2008-05-05 2008-05-06 -0.0035 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA -0.4 0.3 -0.1 0.4 -1.2 0.5 -3.2 2.2 -1.4
2009 0 -0.2 -0.4 0.4 3.2 0.1 -2.1 -0.6 -1.8 -1.4 1 0.6 -1.1
2010 0.8 -0.2 0.5 -1.2 -0.5 -0.1 -1.1 1.4 0 0.3 2.4 -1 1.3
2011 0.9 -0.3 -0.3 -0.2 -1.7 0.6 -0.8 -1.5 -1.3 -2.2 0 -0.7 -7.3
2012 0.8 0.7 1 0.4 -1.6 0.8 0.6 -1.2 -0.3 0.2 0 1.1 2.4
2013 0.7 -0.5 -0.5 -0.7 0.5 -0.2 1.8 0.4 0.4 1.1 0.1 0.8 3.9
2014 -0.8 0.2 0.5 -0.5 0.3 0.7 -1.2 0 -1.8 0.3 0.4 -0.3 -2.3
2015 -1.8 -0.7 -1 1.1 1 1 -1.2 -0.8 -0.1 -0.4 -0.9 -0.6 -4.4
2016 0.5 1.4 0.3 0 0 -0.6 0.7 -0.2 0.7 0 0.8 -0.4 3.3
2017 0.5 1.5 -0.3 0.8 0.1 0.2 -0.5 0.4 0.3 0 -0.6 -0.4 2.1
2018 1 -1 -0.5 0.3 0.7 0.2 0.6 0 0.5 -0.2 -0.4 -0.5 0.6
2019 0.9 0.6 1.3 0.1 -1.3 0.4 -2.2 0 -0.5 0.5 0.2 0.5 0.4
2020 -0.9 -2.2 -0.6 -0.2 0.1 0.3 -0.1 -0.5 -0.1 0.6 0.9 -0.1 -2.8
2021 -0.2 0.4 0.2 NA NA NA NA NA NA NA NA NA 0.3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart